One thing I'd like to mention: although (as the answers have said) light and radio waves are both electromagnetic waves, it doesn't quite make sense to talk about what those waves are made of, just as it doesn't quite make sense to talk about what an ocean wave is made of. A wave is really just a moving pattern.
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David Z♦Sep 16 '11 at 0:45

But you wouldn't have an ocean wave if you didn't have H2O, right?
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CoreySep 25 '11 at 15:35

You already answered it yourself, I cannot realize what is not clear for you. May be there is something deeper in the question?
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AnixxFeb 29 '12 at 10:07

so those waves (light & RF) would be made of photons?
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CoreySep 25 '11 at 15:34

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Yes, though people don't usually talk of photons for RF, 'cause individual photon energies at that frequency are so small, its not so useful to describe RF waves in terms of photons, but one could do so.
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user1631Sep 26 '11 at 16:58